New Issue: Credit Suisse prices $765,000 capped knock-out notes linked to S&P 500

By Toni Weeks

San Diego, July 24 - Credit Suisse AG, Nassau Branch priced $765,000 of 0% capped knock-out notes due Aug. 7, 2013 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-out event occurs if the index falls by more than 21.55% from the initial level during the life of the notes.

If a knock-out event does not occur, the payout at maturity will be par plus the 10% fixed payment percentage, or $1,100 per $1,000 principal amount of notes.

If a knock-out event occurs, the payout at maturity will be par plus the index return, subject to a maximum return of 10%.

J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.

Issuer:	Credit Suisse AG, Nassau Branch
Issue:	Capped knock-out notes
Underlying index:	S&P 500
Amount:	$765,000
Maturity:	Aug. 7, 2013
Coupon:	0%
Price:	Par
Payout at maturity:	If index falls by more than 21.55% from initial level during life of notes, par plus index return, subject to maximum return of 10%; otherwise, par plus 10% fixed payment percentage
Initial level:	1,362.66
Knock-out level:	1,069.00677, 78.45% of initial level
Pricing date:	July 20
Settlement date:	July 27
Agents:	J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
Fees:	1%
Cusip:	22546TWN7

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